Open-access benchmark dataset for day-ahead electricity prices

Dataset comprising data from five day-ahead electricity markets:

• Nord pool:  The Nord pool day-ahead electricity market, one of the largest European power market.
• PJM:            The zonal prices of the COMED area in the Pennsylvania-New Jersey-Maryland (PJM) market.
• EPEX-FR:    The French day-ahead electricity market.
• EPEX-BE:    The Belgian day-ahead electricity market.
• EPEX-DE:    The German day-ahead electricity market.

Each market contains 6 years of data (we consider a year to be 364 days to have an integer number of weeks). The specific dates are:

• Nord pool:   01.01.2013 – 24.12.2018
• PJM:            01.01.2013 – 24.12.2018
• EPEX-FR:    09.01.2011 – 31.12.2016
• EPEX-BE:    09.01.2011 – 31.12.2016
• EPEX-DE:    09.01.2012 – 31.12.2017

Each dataset comprises historical prices and two relevant exogenous inputs based on day-ahead forecasts of price drivers. The day--ahead forecast representing other exogenous inputs are market dependent:

• Nord pool:  System load +  Wind power generation.
• PJM:            System load + Zonal load in the COMED area.
• EPEX-FR:    System load + Generation in France
• EPEX-BE:    System load in France + Generation in France
• EPEX-DE:    Zonal load in the TSO Amprion zone + Aggregated Wind and Solar power generation

All datasets are given using the local timezone:

• Nord pool:   Central European Time (CET)
• PJM:             Eastern Time (ET)
• EPEX-FR:     Central European Time (CET)
• EPEX-BE:     Central European Time (CET)
• EPEX-DE:     Central European Time (CET)

For all five datasets, the daylight saving times (DST) are pre-processed by interpolating the missing values in Spring and averaging the values corresponding to the duplicated time indices in Autumn.

DISCLAIMER

We do not own the data, but we simply have gathered it so other researchers can easily test their methods on multiple day-ahead markets. The data has been gathered using the respective websites of each day-ahead market where these data are freely available. The websites we used to gather the data are:

• Nord Pool:  Nord pool website
• PJM:            PJM website
• EPEX-FR:    ENTSO-E transparency platform + RTE website (French TSO)
• EPEX-BE:   ENTSO-E transparency platform + RTE website (French TSO) + Elia website (Belgian TSO)
• EPEX-DE:   ENTSO-E transparency platform + Amprion TSO website + TenneT website + 50Hertz website